Explicit Characterization of Feedback Nash Equilibria for Indefinite, Linear-Quadratic, Mean-Field-Type Stochastic Zero-Sum Differential Games with Jump-Diffusion Models

Explicit Characterization of Feedback Nash Equilibria for Indefinite, Linear-Quadratic, Mean-Field-Type Stochastic Zero-Sum Differential Games with Jump-Diffusion Models

We consider the indefinite, linear-quadratic, mean-field-type stochastic zero-sum differential game for jump-diffusion models (I-LQ-MF-SZSDG-JD). Specifically, there are two players in the I-LQ-MF-SZSDG-JD, where Player 1 minimizes the objective functional, while Player 2 maximizes the same objectiv...

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Bibliographic Details
Main Authors: Jun Moon, Wonhee Kim
Format: Article
Language:English
Published: MDPI AG 2020-09-01
Series:Mathematics
Subjects:
mean-field stochastic differential equations with jump diffusions
stochastic zero-sum differential games
Nash equilibrium
coupled integro-Riccati differential equations
Online Access:https://www.mdpi.com/2227-7390/8/10/1669

Internet

https://www.mdpi.com/2227-7390/8/10/1669

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